Stochastic Expansions and Moment Approximations for Three Indirect Estimators

Stelios Arvanitis and Antonis Demos / Στέλιος Αρβανίτης και Αντώνης Ντέμος
Athens University of Economics and Business, January 21, 2010

Πολιτικός Λόγος (οικονομικό ένθετο του 24grammata.com) – οικονομία

24grammata.com- free ebook (κατηγορία επιστημονικές μελέτες)

[download]
Abstract
This paper is concerned with some properties of three indirect estimators that are known to be (…rst order) asymptotically equivalent. Speci…cally, for each one of them, we examine a) the issue of validity of the formal Edgeworth expansion of an arbitrary order. b) Given
the establishment of validity, we are concerned with valid moment approximations and employ them to characterize the bias structure of
the estimators up to this order. Our motivation resides on the fact that one of the three is reported by the relevant literature to be second
order unbiased. However, this result is derived without any establishment of validity. We provide this establishment, but we also are able to massively generalize the conditions under which this second order property remains true. Validating the expansions at any order and
deriving the second order expansion for the remaining estimators, we show that the previous result does not apply in these cases. Hence
we essentially derive their higher order inequivalence. We also provide a further generalization of the indirect estimators by introducing re-
cursive ones emerging from multistep optimization procedures. Upon strengthening the validity of the aforementioned moment approximations, we are able to establish higher order unbiaseness for estimators of this sort.
http://www.aueb.gr/users/demos/WorkingPapers.htm

24grammata.com- free ebook (κατηγορία επιστημονικές μελέτες)

[download]

Διαβάστε, επίσης, και άλλες επιστημονικές μελέτες του αν. Καθηγητή κ. Αντώνη Ντέμου:

1. Technical Appendix for “Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models κλικ εδώ

2. The Autocorrelation Function of Conditionally Heteroskedastic in Mean Models  κλικ εδώ